Never7 is an odd example- the game's first four routes appear to be part of a fairly straightforward romance Visual Novel with some mystery and supernatural elements. However, the game's fifth route reveals that the entire game may or may not have been a delusion, some elements that were previously explained with supernatural elements are cast doubt on (as they may also have been caused by the delusion), that other character were possibly having delusions within delusions... in the end, the game concludes ambiguously, leaving it up to the player's interpretations to decide how much of the story was a delusion and how much was real.
Ever17 in increasing amounts as it becomes increasingly obvious to the player, if not the characters, that things just don't add up. They manage to explain it all into a single continuity even but until then you may have to pause to ask yourself things like... actually, explaining the mind screwiness would actually be spoilerific. There are a few strings dangling.
Well, at least Ever17 explains almost everything. Remember11 takes it completely the other way; some of the mysteries are solved around 2/3th of the game, but as you reach the ending, more and more mysteries are added, with the game ending with a plot twist that came so out of the blue for some, that many people completely hated the ending. (The fact that even the answers given were so confusing that many players didn't even get those didn't help either.) The game will then confuse you further as you have to try to see every single confusing bad ending through its confusing ending system (would take too many spoilers to explain), and finally rewards you with the final TIPs, which theoretically would allow you to solve the game. Needless to say, to this date, nobody truly knows the solutions to the mysteries presented.
Nine Hours, Nine Persons, Nine Doors. Akane is dead, and you've been playing as Akane nine years in the past this entire time. The whole purpose of the present-time Nonary Game is to save her life... nine years in the past.
Its sequel, Virtue's Last Reward, makes 999 look downright straightforward. The game uses branching timelines to represent the different choices you make in the game. At one point, though, the protagonist observes that a choice he made in the present is what affected the past of the different timelines. Before observing how he shouldn't know what he did in other timelines in the first place. It just gets more convoluted from there.
Once the Chapter 5 trial in Super Dangan Ronpa 2 has finished, reality has officially checked out. Not just the game world, but even the game itself starts to glitch out, with garbled messages, glitchy visuals, and dead characters suddenly reappearing to speak with everyone (with nobody even noticing or commenting on it.) By chapter 6, it's revealed that everyone is actually in a VR simulation that's now slowly degrading, and the visual glitches and world-shattering plot twists only get worse from there until even the interface starts to break down. The protagonist also has a number of symbolic mental sequences in the climax as well, and before that the characters start tossing around the word "game"... do they mean the in-universe game or the real game that you're playing? Probably both.
When They Cry in general is a huge Mind Screw because of the whole issue with cranking Unreliable NarratorUp to 11. It's official that you can't trust anything but the parts Battler's narrating in Episodes 1-4 and the parts Erika's narrating in Episode 5 of Umineko, and Higurashi had entire arcs narrated by people who were hallucinating.
It takes a while to figure out what is going on in Higurashi: When They Cry. The early arcs pretty much consist of one of the main characters going nuts and killing people and then everything seems to get reset in the next arc.
Umineko: When They Cry is even worse. The plot (at first) is about the main character trying to argue that magic does not exist... to an apparently very real witch. Who claims to have killed him. Even if you go through the entire visual novel more than three times and read the manga (which explains things a lot better), you are still most likely to be left scratching your head at something.